The Costs and Beliefs Implied by Direct Stock Ownership

• 成果类型: Article
• 署名作者: Bartha, Daniel
• 署名单位: Office of Financial Research; United States Department of the Treasury
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2791
• 发表日期: 2018
• 页码: 5263-5288
• 关键词: household beliefs; research costs; UNDERDIVERSIFICATION; direct stock ownership

摘要

This paper develops and estimates an economic model of the costs and beliefs required to rationalize household direct stock ownership. In the model, investors believe they can learn information about individual stock returns through costly research. The model identifies the distributions of both research costs and beliefs about the predictability of individual stock returns. Identification depends only on households' wealth and portfolio choices. The model also provides a novel explanation for many empirical features of household portfolios. Parameter estimates suggest that most households have modest beliefs about the benefits of individual stock research, although a minority must expect extraordinary returns.